While something may be terribly annoying, listening to someone complaining about that thing is always worse.

Alternatively: The only thing more annoying than (x) is someone who can't stop complaining about (x).

Andy: I hate this snow! I'd rather live in Iraq than in this terrible weather!
Bill: Shut up.
Andy: Why? You hate snow as much as I do!
Bill: Yeah, but listening to you whine is worse. Complainer's Paradox.
Andy: Oh, I'm sorry.